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Structural changes, common stochastic trends and unit roots in panel data
Bai, Jushan; Carrion-i-Silvestre, Josep Lluís - Econometric Society - 2004
-stationarity of a panel data set. The methodology is based on the common factor analysis in an attempt to allow for some sort of … dependence across the individuals. Thus allowing for multiple structural breaks in the â€Panel Analysis of Non-stationarity in … properties of the panel data set …
Persistent link: https://www.econbiz.de/10005342256
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SMOOTH TEST OF DENSITY FORECAST EVALUATION WITH INDEPENDENT AND SERIALLY DEPENDENT DATA
Ghosh, Aurobindo; Bera, Anil K. - Econometric Society - 2004
Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...
Persistent link: https://www.econbiz.de/10005342281
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A Smooth Test for Density Forecast Evaluation
Ghosh, Aurobindo; Bera, Anil K. - Econometric Society - 2004
Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...
Persistent link: https://www.econbiz.de/10005063641
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SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES
Xiao, Zhijie; Bera, Anil K.; Ghosh, Aurobindo - Econometric Society - 2004
It has been a conventional wisdom that the two-sample version of the goodness-of-fit test like the Kolmogorov-Smirnov, Cramér-von Mises and Anderson-Darling tests fail to have good power particularly against very specific alternatives. We show that a modified version of Neyman Smooth test that...
Persistent link: https://www.econbiz.de/10005702690